Optimal investment-consumption and life insurance with capital constraints

Calisto Guambe and Rodwell Kufakunesu

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 3, 648-669

Abstract: The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic volatility. Using the martingale approach, we prove the existence of the optimal strategy and the optimal martingale measure and we obtain the explicit solutions for the power utility functions.

Date: 2020
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DOI: 10.1080/03610926.2018.1549246

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